Essays about: "Raphael Bierschenk"
Found 1 essay containing the words Raphael Bierschenk.
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1. An Empirical Evaluation of Improved Volatility-Based Trading Strategies
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. READ MORE
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